The impact of oil shocks on green, clean, and socially responsible markets

The study employs novel empirical approaches, namely wavelet quantile correlation (WQC) and crossquantilogram analysis, to examine the interrelationship between green bonds (GB), clean energy (GCE), socially responsible stocks (ESG), and variants of oil shocks during the period spanning from June 28th, 2013 to June 1st, 2023. Empirical findings from the WQC highlight consistent diversification benefits of GB against oil shocks across various market conditions at both short and long timescales, while the hedge property is evident only in long timescales. GCE reveals safe haven and hedge property in response to oil shocks at short and long timescales, while diversifier property exists only for long timescales. ESG stocks show safe haven property during the turbulence period. Moreover, the hedge property of these stocks against oil shocks is noted over the mediumto long-term horizon. Results from the cross-quantilogram analysis reinforce the diversifier properties of GB and GCE, along with the safe haven characteristics of ESG across various timescales and market conditions. These findings offer valuable suggestions to investors interested in investing in sustainable stocks in the context of a volatile oil market.